$n \to \infty$. The convergence takes place in the space $D[0,1]$ endowed with the Skorohod $J_{1}$ topology, with the limit process being an extremal process. Here, $D[0, 1]$ denotes the space of real-valued [...] d. We obtain identification of the parameters as well as the order of the Markov chain if the transition probability matrices have full-rank and are ergodic, and if the state-dependent distributions are [...] result continues to hold, if we confine ourselves to the joint distribution of coefficients in the outcome equation or any marginal, except the one on the endogenous regressor. Identification continues to
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